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  1. Oil price changes and U.S. real GDP growth
    is this time different?
    Author: Charfeddine, Lanouar; Klein, Tony; Walther, Thomas
    Published: May 28, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 314 (2018,16)
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    This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines the issue and provides evidence that oil price decreases affect the GDP growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a possible instability and shows that combining Markov switching and mixed data sampling models allows to identify different regimes permanently changing with the Great Moderation

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Working papers on finance ; no. 2018, 16
    University of St.Gallen, School of Finance Research Paper ; No. 2018/18
    Subjects: Oil prices; GDP growth; Asymmetry; Nonlinearity; Markov switching models; Mixed Data Sampling
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
    Notes:

    Working Paper Version 2.0 - Page 1, May 28, 2018
  2. The Markov switching ACD model
    Author: Hujer, Reinhard; Vuletić, Sandra; Kokot, Stefan
    Published: 2002
    Publisher:  Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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  3. Do leading indicators help to predict business cycle turning points in Germany?
    Author: Fritsche, Ulrich; Kouzine, Vladimir
    Published: 2002
    Publisher:  DIW, Berlin

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  4. Identifying and measuring the contagion channels at work in the European financial crises
    Author: Guidolin, Massimo; Pedio, Manuela
    Published: [2016]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: August, 2016
    Series: Working paper series / IGIER ; n. 586
    Subjects: Contagion channels; Markov switching models; vector autoregressions; impulse response function; flight-to-quality; flight-to-liquidity; risk premium
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  5. Do leading indicators help to predict business cycle turning points in Germany?
    Author: Fritsche, Ulrich; Kouzine, Vladimir
    Published: 2002
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  6. The Markov switching ACD model
    Author: Hujer, Reinhard; Vuletić, Sandra; Kokot, Stefan
    Published: 2002
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  7. Why fiscal regimes matter for fiscal sustainability analysis
    an application to France
    Author: Aldama, Pierre; Creel, Jérôme
    Published: Mai 2016
    Publisher:  OFCE, [Paris]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / OFCE ; 2016, 15
    Subjects: Fiscal rules; Fiscal regimes; Public debt sustainability; Time varying parameters; Markov switching models
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  8. Are unconventional monetary policies a priced risk factor for hedge fund strategies?
    Author: Guidolin, Massimo; Orlov, Alexei G.
    Published: [2020]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Bocconi ; n. 146 (July 2020)
    Subjects: Hedge fund strategies; unconventional monetary policy; risk factors; modified event studies; Markov switching models; breakpoint tests
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  9. On Bayesian filtering for Markov regime switching models
    Author: Hashimzade, Nigar; Kirsanov, Oleg; Kirsanova, Tatiana; Maih, Junior
    Published: [2024]
    Publisher:  [Adam Smith Business School], [Glasgow]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / University of Glasgow, Adam Smith Business School ; paper no. 2024, 01 (February 2024)
    Subjects: Markov switching models; Filtering; Smoothing
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  10. On Bayesian filtering for markov regime switching models
    Author: Hashimzade, Nigar; Kirsanov, Oleg; Kirsanova, Tatiana; Maih, Junior
    Published: February 2024
    Publisher:  CESifo, Munich, Germany

    This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian filtering, with a specific focus on the state-space formulation of New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) models with... more

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    This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian filtering, with a specific focus on the state-space formulation of New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) models with multiple regimes. We outline the theoretical foundations of model estimation, provide the details of two families of powerful multiple-regime filters, IMM and GPB, and construct corresponding multiple-regime smoothers. A simulation exercise, based on a prototypical NK DSGE model, is used to demonstrate the computational robustness of the proposed filters and smoothers and evaluate their accuracy and speed. We show that the canonical IMM filter is faster than the commonly used Kim and Nelson (1999) filter and is no less, and often more, accurate. Using it with the matching smoother improves the precision in recovering unobserved variables by about 25%. Furthermore, applying it to the U.S. 1947-2023 macroeconomic time series, we successfully identify significant past policy shifts including those related to the post-Covid-19 period. Our results demonstrate the practical applicability and potential of the proposed routines in macroeconomic analysis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/296030
    Series: CESifo working papers ; 10941 (2024)
    Subjects: Markov switching models; filtering; smoothing
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen